An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics
نویسندگان
چکیده
منابع مشابه
The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
– This paper introduces the logarithmic autoregressive conditional duration (Log-ACD) model and compares it with the ACD model of ENGLE and RUSSELL [1998]. The logarithmic version allows to introduce in the model additional variables without sign restrictions on their coefficients. We apply the Log-ACD model to price durations relative to the bid-ask quote process of three securities listed on ...
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An Extended Model of Effective Bid-ask Spread
In this paper we present an extended model for the estimation of effective bid-ask spread that improves the existing models and offers a new direction of generalisation. The quoted bid-ask spread represents the prices available at a given time for transactions only up to some relatively small amount. Moreover, it is observed that large trades are usually made at “worse” prices. Thus, we extend ...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2009
ISSN: 0883-7252
DOI: 10.1002/jae.1122